Transcription of maxLik: A package for maximum likelihood estimation R
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Comput Stat (2011) 26:443 458 DOI PAPERmaxLik: A package for maximum likelihood estimationinRArne Henningsen Ott ToometReceived: 15 October 2009 / Accepted: 7 September 2010 / Published online: 22 September 2010 Springer-Verlag 2010 AbstractThis paper describes the packagemaxLikfor the statistical environmentR. The package is essentially a unified wrapper interface to various optimizationroutines, offering easy access to likelihood -specific features like standard errors orinformation matrix equality (BHHH method). More advanced features of the optimi-zation algorithms, such as forcing the value of a particular parameter to be fixed, arealso likelihood OptimizationJEL ClassificationC871 IntroductionThe maximum likelihood (ML) method is one of the most important techniquesin statistics and econometrics.
maxLik: maximum likelihood estimation 445 1970; Shanno 1970), the Nelder-Mead routine (Nelder and Mead 1965), and a simulated annealing method (Bélisle 1992) are available in a unified way in func-tions maxBFGS, maxNM, and maxSANN, respectively. These …
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